Long time asymptotics for optimal investment
classification
💱 q-fin.PM
math.PR
keywords
growthportfolioprobabilityratetargetasymptoticasymptoticsbehavior
read the original abstract
This survey reviews portfolio selection problem for long-term horizon. We consider two objectives: (i) maximize the probability for outperforming a target growth rate of wealth process (ii) minimize the probability of falling below a target growth rate. We study the asymptotic behavior of these criteria formulated as large deviations control pro\-blems, that we solve by duality method leading to ergodic risk-sensitive portfolio optimization problems. Special emphasis is placed on linear factor models where explicit solutions are obtained.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.